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Tsy Ylds, Yld Curves Make New Highs

US TSY FUTURES CLOSE

New 1Y yield highs: 10YY 1.3601%, 30YY 2.1526%. Heavier futures trade, this time March/June futures rolling did play a part in driving volumes: >755k FVH/FVM by the bell making up just over 40% of total FVH volume on day. March Tsy option expiration contributed to flows as did continued positioning of put positions out and down in strike.

  • 3M10Y +5.43, 131.442 (L: 114.941 / H: 132.97)
  • 2Y10Y +4.929, 123.597 (L: 117.351 / H: 125.126)
  • 2Y30Y +6.14, 203.417 (L: 195.53 / H: 204.374)
  • 5Y30Y +3.68, 156.236 (L: 151.396 / H: 156.383)
  • Current futures levels:
  • Mar 2Y up 0.125/32 at 110-16.25 (L: 110-16 / H: 110-16.375)
  • Mar 5Y down 4.25/32 at 125-11 (L: 125-09.75 / H: 125-16)
  • Mar 10Y down 13.5/32 at 135-14 (L: 135-10.5 / H: 135-28.5)
  • Mar 30Y down 1-15/32 at 163-1 (L: 162-26 / H: 164-22)
  • Mar Ultra 30Y down 2-20/32 at 193-15 (L: 193-02 / H: 196-17)

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